Statistics/Chi-squared distribution: Difference between revisions
m (gamma) |
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""" gamma function """ |
""" gamma function to 7 places """ |
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function gamma( |
function gamma(x) |
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p = [ 0.99999999999980993, 676.5203681218851, -1259.1392167224028, |
p = [ 0.99999999999980993, 676.5203681218851, -1259.1392167224028, |
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771.32342877765313, -176.61502916214059, 12.507343278686905, |
771.32342877765313, -176.61502916214059, 12.507343278686905, |
||
-0.13857109526572012, 9.9843695780195716e-6, 1.5056327351493116e-7 ] |
-0.13857109526572012, 9.9843695780195716e-6, 1.5056327351493116e-7 ] |
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x = a |
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if x < 0.5 |
if x < 0.5 |
||
return π / (sinpi(x) * gamma(1.0 - x)) |
return π / (sinpi(x) * gamma(1.0 - x)) |
Revision as of 01:37, 3 October 2022
The probability density function (pdf) of the chi-squared (or χ2) distribution as used in statistics is
- , where
Here, denotes the Gamma_function.
The use of the gamma function in the equation below reflects the chi-squared distribution's origin as a special case of the gamma distribution.
In probability theory and statistics, the gamma distribution is a two-parameter family of continuous probability distributions. The exponential distribution, Erlang distribution, and chi-square distribution are special cases of the gamma distribution.
The probability density function (pdf) of the gamma distribution is given by the formula
where Γ(k) is the Gamma_function, with shape parameter k and a scale parameter θ.
The cumulative probability distribution of the gamma distribution is the area under the curve of the distribution, which indicates the increasing probability of the x value of a single random point within the gamma distribution being less than or equal to the x value of the cumulative probability distribution. The gamma cumulative probability distribution function can be calculated as
where is the lower incomplete gamma function.
The lower incomplete gamma function can be calculated as
and so, for the chi-squared cumulative probability distribution and substituting chi-square k into s as k/2 and chi-squared x into x as x / 2,
Because series formulas may be subject to accumulated errors from rounding in the frequently used region where x and k are under 10 and near one another, you may instead use a mathematics function library, if available for your programming task, to calculate gamma and incomplete gamma.
- Task
- Calculate and show the values of the χ2(x; k) for k = 1 through 5 inclusive and x integer from 0 and through 10 inclusive.
- Create a function to calculate the cumulative probability function for the χ2 distribution. This will need to be reasonably accurate (at least 6 digit accuracy) for k = 3.
- Calculate and show the p values of statistical samples which result in a χ2(k = 3) value of 1, 2, 4, 8, 16, and 32. (Statistical p values can be calculated for the purpose of this task as approximately 1 - P(x), with P(x) the cumulative probability function at x for χ2.)
- The following is a chart for 4 airports:
Airport | On Time | Delayed | Totals |
---|---|---|---|
Dallas/Fort Worth | 77 | 23 | 100 |
Honolulu | 88 | 12 | 100 |
LaGuardia | 79 | 21 | 100 |
Orlando | 81 | 19 | 100 |
All Totals | 325 | 75 | 400 |
Expected per 100 | 81.25 | 18.75 | 100 |
- χ2 on a 2D table is calculated as the sum of the squares of the differences from expected divided by the expected numbers for each entry on the table. The k for the chi-squared distribution is to be calculated as df, the degrees of freedom for the table, which is a 2D parameter, (count of airports - 1) * (count of measures per airport - 1), which here is (4 - 1 )(2 - 1) = 3.
- Calculate the Chi-squared statistic for the above table and find its p value using your function for the cumulative probability for χ2 with k = 3 from the previous task.
- Stretch task
- Show how you could make a plot of the curves for the probability distribution function χ2(x; k) for k = 0, 1, 2, and 3.
Julia
""" Rosetta Code task rosettacode.org/wiki/Statistics/Chi-squared_distribution """
""" gamma function to 7 places """
function gamma(x)
p = [ 0.99999999999980993, 676.5203681218851, -1259.1392167224028,
771.32342877765313, -176.61502916214059, 12.507343278686905,
-0.13857109526572012, 9.9843695780195716e-6, 1.5056327351493116e-7 ]
if x < 0.5
return π / (sinpi(x) * gamma(1.0 - x))
else
x -= 1.0
t = p[1]
for i in 1:8
t += p[i+1] / (x + i)
end
end
w = x + 7.5
return sqrt(2.0 * π) * w^(x+0.5) * exp(-w) * t
end
""" Chi-squared function, the probability distribution function (pdf) for chi-squared """
function χ2(x, k)
return x > 0 ? x^(k/2 - 1) * exp(-x/2) / (2^(k/2) * gamma(k / 2)) : 0
end
""" lower incomplete gamma by series formula with gamma """
function gamma_cdf(k, x)
return x^k * exp(-x) * sum(x^m / gamma(k + m + 1) for m in 0:100)
end
""" Cumulative probability function (cdf) for chi-squared """
function cdf_χ2(x, k)
return x <= 0 || k <= 0 ? 0.0 : gamma_cdf(k / 2, x / 2)
end
""" Cumulative probability function (cdf) for chi-squared """
function cdf_χ2(x, k)
return x <= 0 || k <= 0 ? 0.0 : gamma_cdf(k / 2, x / 2)
end
println("x χ2 k = 1 k = 2 k = 3 k = 4 k = 5")
println("-"^93)
for x in 0:10
print(lpad(x, 2))
for k in 1:5
s = string(χ2(x, k))
print(lpad(s[1:min(end, 13)], 18), k % 5 == 0 ? "\n" : "")
end
end
println("\nχ2 x P value (df=3)\n----------------------")
for p in [1, 2, 4, 8, 16, 32]
println(lpad(p, 2), " ", 1.0 - cdf_χ2(p, 3))
end
airportdata = [ 77 23 ;
88 12;
79 21;
81 19 ]
expected_data = [ 81.25 18.75 ;
81.25 18.75 ;
81.25 18.75 ;
81.25 18.75 ; ]
dtotal = sum((airportdata[i] - expected_data[i])^2/ expected_data[i] for i in 1:length(airportdata))
println("\nFor the airport data, diff total is $dtotal, χ2 is ", χ2(dtotal, 3), ", p value ", cdf_χ2(dtotal, 3))
using Plots
x = 0.0:0.01:10
y = [map(p -> χ2(p, k), x) for k in 0:3]
plot(x, y, yaxis=[-0.1, 0.5], labels=[0 1 2 3])
- Output:
x χ2 k = 1 k = 2 k = 3 k = 4 k = 5 --------------------------------------------------------------------------------------------- 0 0 0 0 0 0 1 0.24197072451 0.30326532985 0.24197072451 0.15163266492 0.08065690817 2 0.10377687435 0.18393972058 0.20755374871 0.18393972058 0.13836916580 3 0.05139344326 0.11156508007 0.15418032980 0.16734762011 0.15418032980 4 0.02699548325 0.06766764161 0.10798193302 0.13533528323 0.14397591070 5 0.01464498256 0.04104249931 0.07322491280 0.10260624827 0.12204152134 6 0.00810869555 0.02489353418 0.04865217332 0.07468060255 0.09730434665 7 0.00455334292 0.01509869171 0.03187340045 0.05284542098 0.07437126772 8 0.00258337316 0.00915781944 0.02066698535 0.03663127777 0.05511196094 9 0.00147728280 0.00555449826 0.01329554523 0.02499524221 0.03988663570 10 0.00085003666 0.00336897349 0.00850036660 0.01684486749 0.02833455534 χ2 x P value (df=3) ---------------------- 1 0.8012519569012008 2 0.5724067044708798 4 0.2614641299491106 8 0.04601170568923141 16 0.0011339842897852837 32 5.233466447984725e-7 For the airport data, diff total is 4.512820512820512, χ2 is 0.08875392598443503, p value 0.7888504263193064
Phix
with javascript_semantics constant p = { 0.99999999999980993, 676.5203681218851, -1259.1392167224028, 771.32342877765313, -176.61502916214059, 12.507343278686905, -0.13857109526572012, 9.9843695780195716e-6, 1.5056327351493116e-7 } function gamma(atom z) if z<0.5 then return PI / (sin(PI*z)*gamma(1-z)) end if z -= 1; atom x := p[1]; for i=1 to length(p)-1 do x += p[i+1]/(z+i) end for atom t = z + length(p) - 1.5; return sqrt(2*PI) * power(t,z+0.5) * exp(-t) * x end function function pdf(atom x, k) if (x <= 0) then return 0 end if // this should be in task description return exp(-x/2) * power(x,k/2-1) / (power(2,k/2) * gamma(k/2)) end function function cpdf(atom x, k) x = x / 2 // need to do this to agree with Wikipedia formula for k = 2 atom t = exp(-x) * power(x,k/2) * gamma(k/2) / gamma(k), s = 0, m = 0, tol = 1e-15 // say while true do atom term = power(x,m) / gamma(k/2 + m + 1) s = s + term if abs(term) < tol then exit end if m = m + 1 end while return t * s end function printf(1," Values of the ?2 probablility distribution function\n") printf(1," x/k 1 2 3 4 5\n") for x=0 to 10 do printf(1,"%2d ", x) for k=1 to 5 do printf(1,"%f ", pdf(x, k)) end for printf(1,"\n") end for printf(1,"\n------Checking cpdf formula works for k = 2-------\n") printf(1," Values of the ?2 cumulative probability distribution function for k = 2\n") printf(1," x\n") for x=0 to 10 do printf(1,"%2d %f\n", {x, cpdf(x, 2)}) end for printf(1,"\n Values of the ?2 cumulative pdf using simple formula for k = 2\n") printf(1," x\n") for x=0 to 10 do printf(1,"%2d %f\n", {x, 1 - exp(-x/2)}) end for
- Output:
Same output (so probably not very helpful)
Values of the ?2 probablility distribution function x/k 1 2 3 4 5 0 0.000000 0.000000 0.000000 0.000000 0.000000 1 0.241971 0.303265 0.241971 0.151633 0.080657 2 0.103777 0.183940 0.207554 0.183940 0.138369 3 0.051393 0.111565 0.154180 0.167348 0.154180 4 0.026995 0.067668 0.107982 0.135335 0.143976 5 0.014645 0.041042 0.073225 0.102606 0.122042 6 0.008109 0.024894 0.048652 0.074681 0.097304 7 0.004553 0.015099 0.031873 0.052845 0.074371 8 0.002583 0.009158 0.020667 0.036631 0.055112 9 0.001477 0.005554 0.013296 0.024995 0.039887 10 0.000850 0.003369 0.008500 0.016845 0.028335 ------Checking cpdf formula works for k = 2------- Values of the ?2 cumulative probability distribution function for k = 2 x 0 0.000000 1 0.393469 2 0.632121 3 0.776870 4 0.864665 5 0.917915 6 0.950213 7 0.969803 8 0.981684 9 0.988891 10 0.993262 Values of the ?2 cumulative pdf using simple formula for k = 2 x 0 0.000000 1 0.393469 2 0.632121 3 0.776870 4 0.864665 5 0.917915 6 0.950213 7 0.969803 8 0.981684 9 0.988891 10 0.993262
Python
''' rosettacode.org/wiki/Statistics/Chi-squared_distribution#Python '''
from math import gamma, exp
from scipy.special import gammainc
from matplotlib.pyplot import plot, legend, ylim
def χ2(x, k):
''' Chi-squared function, the probability distribution function (pdf) for chi-squared '''
return x ** (k/2 - 1) * exp(-x/2) / (2 ** (k/2) * gamma(k / 2)) if x > 0 else 0.0
def cdf_χ2(x, k):
''' Cumulative probability function (cdf) for chi-squared '''
if x <= 0 or k <= 0:
return 0
return gammainc(k / 2, x / 2)
print('x χ2 k = 1 k = 2 k = 3 k = 4 k = 5')
print('-' * 93)
for x in range(11):
print(f'{x:2}', end='')
for k in range(1, 6):
print(f'{χ2(x, k):16.8}', end='\n' if k % 5 == 0 else '')
print('\nχ2 x P value (df=3)\n----------------------')
for p in [1, 2, 4, 8, 16, 32]:
print(f'{p:2}', ' ', 1.0 - cdf_χ2(p, 3))
AIRPORT_DATA = [[77, 23], [88, 12], [79, 21], [81, 19]]
EXPECTED = [[81.25, 18.75],
[81.25, 18.75],
[81.25, 18.75],
[81.25, 18.75]]
DTOTAL = sum((d[pos] - EXPECTED[i][pos])**2 / EXPECTED[i][pos]
for i, d in enumerate(AIRPORT_DATA) for pos in [0, 1])
print(
f'\nFor the airport data, diff total is {DTOTAL}, χ2 is {χ2(DTOTAL, 3)}, p value {cdf_χ2(DTOTAL, 3)}')
X = [x * 0.001 for x in range(10000)]
for k in range(5):
plot(X, [χ2(p, k) for p in X])
legend([0, 1, 2, 3, 4])
ylim(-0.02, 0.5)
- Output:
x χ2 k = 1 k = 2 k = 3 k = 4 k = 5 --------------------------------------------------------------------------------------------- 0 0.0 0.0 0.0 0.0 0.0 1 0.24197072 0.30326533 0.24197072 0.15163266 0.080656908 2 0.10377687 0.18393972 0.20755375 0.18393972 0.13836917 3 0.051393443 0.11156508 0.15418033 0.16734762 0.15418033 4 0.026995483 0.067667642 0.10798193 0.13533528 0.14397591 5 0.014644983 0.041042499 0.073224913 0.10260625 0.12204152 6 0.0081086956 0.024893534 0.048652173 0.074680603 0.097304347 7 0.0045533429 0.015098692 0.0318734 0.052845421 0.074371268 8 0.0025833732 0.0091578194 0.020666985 0.036631278 0.055111961 9 0.0014772828 0.0055544983 0.013295545 0.024995242 0.039886636 10 0.00085003666 0.0033689735 0.0085003666 0.016844867 0.028334555 χ2 x P value (df=3) ---------------------- 1 0.8012519569012009 2 0.5724067044708798 4 0.26146412994911117 8 0.04601170568923141 16 0.0011339842897852837 32 5.233466447984725e-07 For the airport data, diff total is 4.512820512820513, χ2 is 0.088753925984435, p value 0.7888504263193064